Fall 2018 - ACMA 355 D100
Loss Models I (3)
Class Number: 4674
Delivery Method: In Person
Course Times + Location:
Mo 2:30 PM – 4:20 PM
WMC 3531, Burnaby
We 2:30 PM – 3:20 PM
WMC 2268, Burnaby
Exam Times + Location:
Oct 17, 2018
4:30 PM – 6:20 PM
RCB 8100, Burnaby
Dec 3, 2018
6:30 PM – 8:20 PM
AQ 5018, Burnaby
Severity models. Risk measures. Frequency models. Estimation: complete data, modified data, empirical distribution, Nelson-Aalen, ogive, Kaplan-Meier, kernel density, interval. Parametric estimation: method of moments, MLE. Bayesian estimation. Model selection. Covers part of the syllabus for Exam C of the Society of Actuaries and Exam 4 of the Casualty Actuarial Society. Quantitative.
Note that exam C of the SOA and exam 4 of the CAS are being replaced starting in Fall 2018. This course covers part of the syllabus for the new exam STAM of the SOA. Please refer to the CAS website for the syllabi of their new exams.
This course covers the fundamentals of actuarial loss models. The topics covered correspond to Chapters 3-6, 10-14, 15.1-15.2, and 16 of the required textbook. They include the following:
This course is accredited under the Canadian Institute of Actuaries (CIA) University Accreditation Program (UAP) for the 2018-2019 academic year. Achievement of the established exemption grade in this course may qualify a student for exemptions from writing certain preliminary exams. Please note, a combination of courses may be required to achieve a single exemption. Please see http://www.cia-ica.ca/membership/uap for full details.
- Assignments, quizzes and project 20%
- Midterm 1 40%
- Midterm 2 40%
Above grading is subject to change.
Loss Models: From Data to Decisions, 4th ed., Authors: S.A. Klugman, H.H. Panjer, and G.E. Willmot. Publisher: Wiley
ACTEX SOA Exam STAM Study Manual, Spring 2018 Edition, by S.A.Broverman, Publisher: ACTEX
Survival Models and Their Estimation, 3rd Edition, by D. London, Publisher: ACTEX
Department Undergraduate Notes:
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